Crypto Rolling Efficiency

Time series Plots

Window : 360

  • Delta H computed over rolling 360 days

  • Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 360

    • q70: 0.1276
    • q90: 0.17481
    • q95: 0.197805
    • q99: 0.241003

ADA

### LTC ### BNB ### BTC ### DOGE ### XRP ### TRX ### ETH

Window : 720

  • Delta H computed over rolling 720 days

  • Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 720

    • q70: 0.0987
    • q90: 0.1326
    • q95: 0.1478
    • q99: 0.176903

XRP

### BNB ### BTC ### DOGE ### ADA ### ETH ### TRX ### LTC

Window : 1080

  • Delta H computed over rolling 1080 days

  • Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 1080

    • q70: 0.0881
    • q90: 0.11901
    • q95: 0.1314
    • q99: 0.154401

BTC

### TRX ### ADA ### LTC ### ETH ### BNB ### XRP ### DOGE

Summary Tables

Window : 360

Ticker days_above_q70 days_above_q90 days_above_q95 days_above_q99 ticker_appearances prop_above_q70 prop_above_q90 prop_above_q95 prop_above_q99
ADA 1422 1165 1041 668 1648 0.8628641 0.7069175 0.6316748 0.4053398
BNB 1484 1308 1159 942 1648 0.9004854 0.7936893 0.7032767 0.5716019
BTC 1568 1410 1328 1153 1648 0.9514563 0.8555825 0.8058252 0.6996359
DOGE 1590 1534 1499 1427 1648 0.9648058 0.9308252 0.9095874 0.8658981
ETH 1459 1241 1092 751 1648 0.8853155 0.7530340 0.6626214 0.4557039
LTC 1517 1361 1262 1064 1648 0.9205097 0.8258495 0.7657767 0.6456311
TRX 1598 1537 1463 1258 1648 0.9696602 0.9326456 0.8877427 0.7633495
XRP 1597 1484 1386 1140 1648 0.9690534 0.9004854 0.8410194 0.6917476

Window : 720

Ticker days_above_q70 days_above_q90 days_above_q95 days_above_q99 ticker_appearances prop_above_q70 prop_above_q90 prop_above_q95 prop_above_q99
ADA 1037 781 678 367 1288 0.8051242 0.6063665 0.5263975 0.2849379
BNB 1167 977 882 706 1288 0.9060559 0.7585404 0.6847826 0.5481366
BTC 1288 1287 1268 1204 1288 1.0000000 0.9992236 0.9844720 0.9347826
DOGE 1262 1244 1236 1230 1288 0.9798137 0.9658385 0.9596273 0.9549689
ETH 1288 1269 1247 1169 1288 1.0000000 0.9852484 0.9681677 0.9076087
LTC 1286 1214 1187 1035 1288 0.9984472 0.9425466 0.9215839 0.8035714
TRX 1280 1233 1207 1153 1288 0.9937888 0.9572981 0.9371118 0.8951863
XRP 1282 1265 1253 1229 1288 0.9953416 0.9821429 0.9728261 0.9541925

Window : 1080

Ticker days_above_q70 days_above_q90 days_above_q95 days_above_q99 ticker_appearances prop_above_q70 prop_above_q90 prop_above_q95 prop_above_q99
ADA 884 746 660 429 928 0.9525862 0.8038793 0.7112069 0.4622845
BNB 674 518 448 355 928 0.7262931 0.5581897 0.4827586 0.3825431
BTC 928 928 923 905 928 1.0000000 1.0000000 0.9946121 0.9752155
DOGE 928 928 928 928 928 1.0000000 1.0000000 1.0000000 1.0000000
ETH 928 928 928 928 928 1.0000000 1.0000000 1.0000000 1.0000000
LTC 928 928 928 919 928 1.0000000 1.0000000 1.0000000 0.9903017
TRX 928 928 928 928 928 1.0000000 1.0000000 1.0000000 1.0000000
XRP 928 928 928 928 928 1.0000000 1.0000000 1.0000000 1.0000000

Backtesting

Return KPIs for various strategies applied to different cryptocurrencies:

  • Short-Inefficiency-Long-Efficiency: go short when the series becomes statistically inefficient (above a certain quantile - e.g. q90) and go long when it is below that level.

Short-Inefficiency: stay short only when the series becomes statistically inefficient and do nothing when it is below that level.

  • Short-Efficiency: stay short only when the series becomes statistically efficient and do nothing when it becomes inefficient.

  • Short-Efficiency-Long-Inefficiency: stay long only when the series becomes statistically efficient and do nothing when it becomes inefficient.

Note: Positions are taken one day after the efficiency level crosses the significance quantile.

360-day Window

Significance q70

  • q70 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    -0.0519 0.7595 -0.0683 -0.2942527 ETH Short-Inefficiency-Long-Efficiency q70 360
    -0.1889 0.8423 -0.2243 -0.7457095 ADA Short-Inefficiency-Long-Efficiency q70 360
    -0.2164 0.8245 -0.2625 -0.7970788 LTC Short-Inefficiency-Long-Efficiency q70 360
    -0.2724 0.8667 -0.3143 -0.8749739 XRP Short-Inefficiency-Long-Efficiency q70 360
    -0.3149 0.5801 -0.5430 -0.9157229 BTC Short-Inefficiency-Long-Efficiency q70 360
    -0.3272 0.7944 -0.4119 -0.9251386 TRX Short-Inefficiency-Long-Efficiency q70 360
    -0.4393 0.8141 -0.5396 -0.9772735 BNB Short-Inefficiency-Long-Efficiency q70 360
    NaN 1.1848 NaN -1.0014227 DOGE Short-Inefficiency-Long-Efficiency q70 360
    • q70 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.2871 0.7093 -0.4047 -0.8906002 ETH Short-Inefficiency q70 360
      -0.3021 0.8555 -0.3531 -0.9048519 XRP Short-Inefficiency q70 360
      -0.3053 0.7969 -0.3832 -0.9076806 LTC Short-Inefficiency q70 360
      -0.3198 0.7857 -0.4071 -0.9195715 ADA Short-Inefficiency q70 360
      -0.3452 0.5647 -0.6113 -0.9372590 BTC Short-Inefficiency q70 360
      -0.3631 0.7848 -0.4627 -0.9476911 TRX Short-Inefficiency q70 360
      -0.5100 0.7658 -0.6660 -0.9905809 BNB Short-Inefficiency q70 360
      NaN 1.1765 NaN -1.0013849 DOGE Short-Inefficiency q70 360
      • q70 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.0382 0.5801 0.0659 0.2780874 BTC Short-Efficiency-Long-Inefficiency q70 360
        -0.1036 0.8141 -0.1272 -0.5107603 BNB Short-Efficiency-Long-Inefficiency q70 360
        -0.1202 1.1848 -0.1014 -0.5670402 DOGE Short-Efficiency-Long-Inefficiency q70 360
        -0.2213 0.7944 -0.2786 -0.8052465 TRX Short-Efficiency-Long-Inefficiency q70 360
        -0.3611 0.8245 -0.4380 -0.9466073 LTC Short-Efficiency-Long-Inefficiency q70 360
        -0.3678 0.8667 -0.4244 -0.9501497 XRP Short-Efficiency-Long-Inefficiency q70 360
        -0.4008 0.8423 -0.4759 -0.9649020 ADA Short-Efficiency-Long-Inefficiency q70 360
        -0.4156 0.7595 -0.5471 -0.9701791 ETH Short-Efficiency-Long-Inefficiency q70 360
        • q70 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          -0.0235 0.1401 -0.1680 -0.1441770 DOGE Short-Efficiency q70 360
          -0.0593 0.1386 -0.4275 -0.3293253 XRP Short-Efficiency q70 360
          -0.0608 0.1323 -0.4593 -0.3363142 BTC Short-Efficiency q70 360
          -0.0676 0.1228 -0.5506 -0.3672461 TRX Short-Efficiency q70 360
          -0.1525 0.2114 -0.7214 -0.6610573 LTC Short-Efficiency q70 360
          -0.1909 0.2754 -0.6931 -0.7496591 BNB Short-Efficiency q70 360
          -0.2358 0.3034 -0.7772 -0.8276860 ADA Short-Efficiency q70 360
          -0.3021 0.2712 -1.1136 -0.9048032 ETH Short-Efficiency q70 360

          Significance q90

  • q90 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.2474 0.7590 0.3260 3.2455972 ETH Short-Inefficiency-Long-Efficiency q90 360
    0.0564 0.8241 0.0684 0.4314565 LTC Short-Inefficiency-Long-Efficiency q90 360
    -0.0738 0.8664 -0.0852 -0.3943503 XRP Short-Inefficiency-Long-Efficiency q90 360
    -0.1063 0.7943 -0.1338 -0.5205020 TRX Short-Inefficiency-Long-Efficiency q90 360
    -0.1540 0.8423 -0.1829 -0.6651093 ADA Short-Inefficiency-Long-Efficiency q90 360
    -0.2322 0.8143 -0.2852 -0.8223607 BNB Short-Inefficiency-Long-Efficiency q90 360
    -0.4749 0.5794 -0.8196 -0.9851925 BTC Short-Inefficiency-Long-Efficiency q90 360
    NaN 1.1850 NaN -1.0035925 DOGE Short-Inefficiency-Long-Efficiency q90 360
    • q90 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.1599 0.6704 -0.2386 -0.6801107 ETH Short-Inefficiency q90 360
      -0.1687 0.7585 -0.2225 -0.7013764 LTC Short-Inefficiency q90 360
      -0.1925 0.8258 -0.2331 -0.7528979 XRP Short-Inefficiency q90 360
      -0.2518 0.6903 -0.3648 -0.8500357 ADA Short-Inefficiency q90 360
      -0.2536 0.7634 -0.3322 -0.8522966 TRX Short-Inefficiency q90 360
      -0.4075 0.7224 -0.5641 -0.9673909 BNB Short-Inefficiency q90 360
      -0.4175 0.5355 -0.7796 -0.9708120 BTC Short-Inefficiency q90 360
      NaN 1.1723 NaN -1.0022754 DOGE Short-Inefficiency q90 360
      • q90 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.3545 0.5794 0.6118 6.2742761 BTC Short-Efficiency-Long-Inefficiency q90 360
        -0.2364 1.1850 -0.1995 -0.8285407 DOGE Short-Efficiency-Long-Inefficiency q90 360
        -0.3454 0.8143 -0.4242 -0.9374085 BNB Short-Efficiency-Long-Inefficiency q90 360
        -0.4138 0.7943 -0.5210 -0.9695942 TRX Short-Efficiency-Long-Inefficiency q90 360
        -0.4255 0.8423 -0.5052 -0.9733493 ADA Short-Efficiency-Long-Inefficiency q90 360
        -0.5033 0.8664 -0.5809 -0.9897093 XRP Short-Efficiency-Long-Inefficiency q90 360
        -0.5261 0.8241 -0.6384 -0.9924311 LTC Short-Efficiency-Long-Inefficiency q90 360
        -0.5558 0.7590 -0.7323 -0.9950429 ETH Short-Efficiency-Long-Inefficiency q90 360
        • q90 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0558 0.2219 0.2516 0.4266230 BTC Short-Efficiency q90 360
          -0.0949 0.1725 -0.5502 -0.4791028 DOGE Short-Efficiency q90 360
          -0.1870 0.2628 -0.7117 -0.7417528 XRP Short-Efficiency q90 360
          -0.2044 0.2193 -0.9321 -0.7759111 TRX Short-Efficiency q90 360
          -0.2917 0.3227 -0.9041 -0.8952159 LTC Short-Efficiency q90 360
          -0.3052 0.4824 -0.6327 -0.9075850 ADA Short-Efficiency q90 360
          -0.3308 0.3749 -0.8825 -0.9276892 BNB Short-Efficiency q90 360
          -0.4077 0.3561 -1.1449 -0.9674434 ETH Short-Efficiency q90 360

          Significance q95

  • q95 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.3784 0.7587 0.4987 7.1545309 ETH Short-Inefficiency-Long-Efficiency q95 360
    0.3232 0.8236 0.3924 5.2429147 LTC Short-Inefficiency-Long-Efficiency q95 360
    0.2369 0.8659 0.2735 3.0154407 XRP Short-Inefficiency-Long-Efficiency q95 360
    -0.0191 0.8421 -0.0227 -0.1186364 ADA Short-Inefficiency-Long-Efficiency q95 360
    -0.0433 0.7942 -0.0546 -0.2515080 TRX Short-Inefficiency-Long-Efficiency q95 360
    -0.3567 0.8143 -0.4381 -0.9441385 BNB Short-Inefficiency-Long-Efficiency q95 360
    -0.4580 0.5795 -0.7903 -0.9817851 BTC Short-Inefficiency-Long-Efficiency q95 360
    NaN 1.1847 NaN -1.0009488 DOGE Short-Inefficiency-Long-Efficiency q95 360
    • q95 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.0209 0.7681 -0.0272 -0.1287627 XRP Short-Inefficiency q95 360
      -0.0553 0.7380 -0.0750 -0.3107672 LTC Short-Inefficiency q95 360
      -0.1035 0.6475 -0.1598 -0.5105312 ETH Short-Inefficiency q95 360
      -0.1756 0.6565 -0.2675 -0.7171631 ADA Short-Inefficiency q95 360
      -0.2200 0.7504 -0.2932 -0.8031087 TRX Short-Inefficiency q95 360
      -0.4033 0.5201 -0.7755 -0.9658514 BTC Short-Inefficiency q95 360
      -0.4400 0.6779 -0.6491 -0.9774418 BNB Short-Inefficiency q95 360
      NaN 1.1663 NaN -1.0012231 DOGE Short-Inefficiency q95 360
      • q95 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.3123 0.5795 0.5388 4.9135000 BTC Short-Efficiency-Long-Inefficiency q95 360
        -0.0639 1.1847 -0.0540 -0.3508112 DOGE Short-Efficiency-Long-Inefficiency q95 360
        -0.2187 0.8143 -0.2686 -0.8009593 BNB Short-Efficiency-Long-Inefficiency q95 360
        -0.4524 0.7942 -0.5696 -0.9805215 TRX Short-Efficiency-Long-Inefficiency q95 360
        -0.5045 0.8421 -0.5992 -0.9898736 ADA Short-Efficiency-Long-Inefficiency q95 360
        -0.5980 0.7587 -0.7882 -0.9974191 ETH Short-Efficiency-Long-Inefficiency q95 360
        -0.6217 0.8236 -0.7548 -0.9982645 LTC Short-Efficiency-Long-Inefficiency q95 360
        -0.6281 0.8659 -0.7254 -0.9984478 XRP Short-Efficiency-Long-Inefficiency q95 360
        • q95 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0308 0.2560 0.1203 0.2193871 BTC Short-Efficiency q95 360
          -0.0048 0.2085 -0.0230 -0.0309576 DOGE Short-Efficiency q95 360
          -0.2387 0.2604 -0.9166 -0.8318936 TRX Short-Efficiency q95 360
          -0.2920 0.4504 -0.6483 -0.8954709 BNB Short-Efficiency q95 360
          -0.3295 0.4005 -0.8228 -0.9267554 XRP Short-Efficiency q95 360
          -0.3695 0.5274 -0.7006 -0.9510002 ADA Short-Efficiency q95 360
          -0.3768 0.3664 -1.0283 -0.9546002 LTC Short-Efficiency q95 360
          -0.4450 0.3960 -1.1238 -0.9787228 ETH Short-Efficiency q95 360

          Significance q99

  • q99 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.9122 0.8222 1.1095 68.3548473 LTC Short-Inefficiency-Long-Efficiency q99 360
    0.4723 0.8654 0.5458 11.5491716 XRP Short-Inefficiency-Long-Efficiency q99 360
    0.4645 0.7585 0.6123 11.1196514 ETH Short-Inefficiency-Long-Efficiency q99 360
    0.1694 0.8417 0.2013 1.7831012 ADA Short-Inefficiency-Long-Efficiency q99 360
    0.1068 0.8138 0.1313 0.9422062 BNB Short-Inefficiency-Long-Efficiency q99 360
    -0.2514 0.7944 -0.3165 -0.8494539 TRX Short-Inefficiency-Long-Efficiency q99 360
    -0.4349 0.5796 -0.7503 -0.9760745 BTC Short-Inefficiency-Long-Efficiency q99 360
    NaN 1.1849 NaN -1.0017988 DOGE Short-Inefficiency-Long-Efficiency q99 360
    • q99 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.1698 0.6965 0.2438 1.7890406 LTC Short-Inefficiency q99 360
      0.1621 0.6533 0.2482 1.6714018 XRP Short-Inefficiency q99 360
      -0.0146 0.5016 -0.0291 -0.0916323 ADA Short-Inefficiency q99 360
      -0.0243 0.5581 -0.0435 -0.1483973 ETH Short-Inefficiency q99 360
      -0.1933 0.5403 -0.3578 -0.7545757 BNB Short-Inefficiency q99 360
      -0.2815 0.6947 -0.4053 -0.8849396 TRX Short-Inefficiency q99 360
      -0.3805 0.4871 -0.7812 -0.9563367 BTC Short-Inefficiency q99 360
      NaN 1.1447 NaN -1.0020048 DOGE Short-Inefficiency q99 360
      • q99 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.2587 0.5796 0.4463 3.5020453 BTC Short-Efficiency-Long-Inefficiency q99 360
        -0.1512 1.1849 -0.1276 -0.6575697 DOGE Short-Efficiency-Long-Inefficiency q99 360
        -0.3002 0.7944 -0.3779 -0.9031558 TRX Short-Efficiency-Long-Inefficiency q99 360
        -0.5459 0.8138 -0.6708 -0.9942752 BNB Short-Efficiency-Long-Inefficiency q99 360
        -0.5844 0.8417 -0.6943 -0.9967931 ADA Short-Efficiency-Long-Inefficiency q99 360
        -0.6216 0.7585 -0.8195 -0.9982635 ETH Short-Efficiency-Long-Inefficiency q99 360
        -0.6875 0.8654 -0.7945 -0.9995033 XRP Short-Efficiency-Long-Inefficiency q99 360
        -0.7382 0.8222 -0.8979 -0.9998438 LTC Short-Efficiency-Long-Inefficiency q99 360
        • q99 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          -0.0072 0.3145 -0.0230 -0.0463322 BTC Short-Efficiency q99 360
          -0.0772 0.3056 -0.2527 -0.4087980 DOGE Short-Efficiency q99 360
          -0.1735 0.3852 -0.4504 -0.7123363 TRX Short-Efficiency q99 360
          -0.4351 0.5685 -0.7653 -0.9761124 XRP Short-Efficiency q99 360
          -0.4725 0.6762 -0.6988 -0.9847430 ADA Short-Efficiency q99 360
          -0.4900 0.5142 -0.9531 -0.9877707 ETH Short-Efficiency q99 360
          -0.4967 0.4389 -1.1317 -0.9887807 LTC Short-Efficiency q99 360
          -0.5085 0.6083 -0.8359 -0.9903922 BNB Short-Efficiency q99 360
          [1] “”

720 window

Significance q70

  • q70 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    -0.3566 0.8685 -0.4105 -0.8949765 ADA Short-Inefficiency-Long-Efficiency q70 720
    -0.3633 0.5826 -0.6235 -0.9004644 BTC Short-Inefficiency-Long-Efficiency q70 720
    -0.4113 0.8342 -0.4930 -0.9333114 LTC Short-Inefficiency-Long-Efficiency q70 720
    -0.4565 0.7972 -0.5726 -0.9556799 TRX Short-Inefficiency-Long-Efficiency q70 720
    -0.4665 0.9278 -0.5028 -0.9596871 XRP Short-Inefficiency-Long-Efficiency q70 720
    -0.5461 0.8396 -0.6504 -0.9823451 BNB Short-Inefficiency-Long-Efficiency q70 720
    -0.5633 0.7756 -0.7263 -0.9855099 ETH Short-Inefficiency-Long-Efficiency q70 720
    NaN 1.3057 NaN -1.0010128 DOGE Short-Inefficiency-Long-Efficiency q70 720
    • q70 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.3625 0.5826 -0.6222 -0.8998509 BTC Short-Inefficiency q70 720
      -0.3967 0.7341 -0.5404 -0.9244352 ADA Short-Inefficiency q70 720
      -0.4120 0.8333 -0.4944 -0.9337133 LTC Short-Inefficiency q70 720
      -0.4631 0.9274 -0.4994 -0.9583741 XRP Short-Inefficiency q70 720
      -0.4678 0.7958 -0.5879 -0.9602028 TRX Short-Inefficiency q70 720
      -0.5624 0.7756 -0.7251 -0.9853565 ETH Short-Inefficiency q70 720
      -0.5718 0.8252 -0.6930 -0.9869043 BNB Short-Inefficiency q70 720
      NaN 1.3037 NaN -1.0011727 DOGE Short-Inefficiency q70 720
      • q70 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.2332 0.7756 0.3007 1.9193441 ETH Short-Efficiency-Long-Inefficiency q70 720
        0.1127 0.5826 0.1935 0.7261422 BTC Short-Efficiency-Long-Inefficiency q70 720
        0.0544 0.8396 0.0648 0.3108053 BNB Short-Efficiency-Long-Inefficiency q70 720
        -0.0061 1.3057 -0.0047 -0.0309621 DOGE Short-Efficiency-Long-Inefficiency q70 720
        -0.0438 0.7972 -0.0550 -0.2047483 TRX Short-Efficiency-Long-Inefficiency q70 720
        -0.1649 0.8342 -0.1976 -0.6018318 LTC Short-Efficiency-Long-Inefficiency q70 720
        -0.2323 0.9278 -0.2504 -0.7411250 XRP Short-Efficiency-Long-Inefficiency q70 720
        -0.2796 0.8685 -0.3219 -0.8128992 ADA Short-Efficiency-Long-Inefficiency q70 720
        • q70 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0237 0.0727 0.3253 0.1269500 DOGE Short-Efficiency q70 720
          0.0056 0.0263 0.2123 0.0289139 XRP Short-Efficiency q70 720
          0.0020 0.0046 0.4405 0.0104805 ETH Short-Efficiency q70 720
          0.0012 0.0027 0.4412 0.0061261 BTC Short-Efficiency q70 720
          -0.0026 0.0376 -0.0690 -0.0131981 LTC Short-Efficiency q70 720
          -0.0230 0.0468 -0.4912 -0.1120548 TRX Short-Efficiency q70 720
          -0.0789 0.1540 -0.5126 -0.3431579 BNB Short-Efficiency q70 720
          -0.2522 0.4638 -0.5438 -0.7736220 ADA Short-Efficiency q70 720

          Significance q90

  • q90 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    -0.0604 0.8683 -0.0695 -0.2725965 ADA Short-Inefficiency-Long-Efficiency q90 720
    -0.3662 0.5826 -0.6285 -0.9027860 BTC Short-Inefficiency-Long-Efficiency q90 720
    -0.3933 0.8342 -0.4715 -0.9222356 LTC Short-Inefficiency-Long-Efficiency q90 720
    -0.4655 0.9278 -0.5017 -0.9592966 XRP Short-Inefficiency-Long-Efficiency q90 720
    -0.4750 0.7971 -0.5959 -0.9628588 TRX Short-Inefficiency-Long-Efficiency q90 720
    -0.5116 0.7758 -0.6595 -0.9743488 ETH Short-Inefficiency-Long-Efficiency q90 720
    -0.6002 0.8393 -0.7151 -0.9907732 BNB Short-Inefficiency-Long-Efficiency q90 720
    NaN 1.3057 NaN -1.0011208 DOGE Short-Inefficiency-Long-Efficiency q90 720
    • q90 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.1939 0.5833 -0.3324 -0.6676250 ADA Short-Inefficiency q90 720
      -0.3640 0.5826 -0.6247 -0.9010188 BTC Short-Inefficiency q90 720
      -0.3980 0.8231 -0.4835 -0.9252391 LTC Short-Inefficiency q90 720
      -0.4623 0.9268 -0.4988 -0.9580580 XRP Short-Inefficiency q90 720
      -0.4750 0.7910 -0.6005 -0.9628546 TRX Short-Inefficiency q90 720
      -0.5363 0.7730 -0.6937 -0.9803091 ETH Short-Inefficiency q90 720
      -0.5839 0.7818 -0.7469 -0.9886824 BNB Short-Inefficiency q90 720
      NaN 1.3013 NaN -1.0012541 DOGE Short-Inefficiency q90 720
      • q90 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.1971 0.8393 0.2349 1.5081385 BNB Short-Efficiency-Long-Inefficiency q90 720
        0.1179 0.5826 0.2023 0.7673640 BTC Short-Efficiency-Long-Inefficiency q90 720
        0.1028 0.7758 0.1325 0.6491050 ETH Short-Efficiency-Long-Inefficiency q90 720
        -0.0102 0.7971 -0.0128 -0.0510367 TRX Short-Efficiency-Long-Inefficiency q90 720
        -0.0257 1.3057 -0.0196 -0.1243900 DOGE Short-Efficiency-Long-Inefficiency q90 720
        -0.1896 0.8342 -0.2273 -0.6585419 LTC Short-Efficiency-Long-Inefficiency q90 720
        -0.2338 0.9278 -0.2520 -0.7436087 XRP Short-Efficiency-Long-Inefficiency q90 720
        -0.5067 0.8683 -0.5835 -0.9729861 ADA Short-Efficiency-Long-Inefficiency q90 720
        • q90 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0103 0.1082 0.0952 0.0537691 DOGE Short-Efficiency q90 720
          0.0041 0.0421 0.0976 0.0211583 XRP Short-Efficiency q90 720
          0.0035 0.0059 0.5947 0.0179980 BTC Short-Efficiency q90 720
          -0.0097 0.0987 -0.0984 -0.0486638 TRX Short-Efficiency q90 720
          -0.0258 0.1356 -0.1902 -0.1250526 LTC Short-Efficiency q90 720
          -0.0523 0.3054 -0.1712 -0.2399597 BNB Short-Efficiency q90 720
          -0.0544 0.0644 -0.8438 -0.2485347 ETH Short-Efficiency q90 720
          -0.4404 0.6431 -0.6848 -0.9485334 ADA Short-Efficiency q90 720

          Significance q95

  • q95 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    -0.0226 0.8682 -0.0261 -0.1104011 ADA Short-Inefficiency-Long-Efficiency q95 720
    -0.3341 0.5827 -0.5733 -0.8748514 BTC Short-Inefficiency-Long-Efficiency q95 720
    -0.3866 0.8342 -0.4635 -0.9177782 LTC Short-Inefficiency-Long-Efficiency q95 720
    -0.4718 0.7760 -0.6080 -0.9617117 ETH Short-Inefficiency-Long-Efficiency q95 720
    -0.4894 0.9277 -0.5276 -0.9678054 XRP Short-Inefficiency-Long-Efficiency q95 720
    -0.4925 0.7971 -0.6179 -0.9687776 TRX Short-Inefficiency-Long-Efficiency q95 720
    -0.6632 0.8388 -0.7907 -0.9961598 BNB Short-Inefficiency-Long-Efficiency q95 720
    NaN 1.3056 NaN -1.0009007 DOGE Short-Inefficiency-Long-Efficiency q95 720
    • q95 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.1520 0.5280 -0.2879 -0.5694884 ADA Short-Inefficiency q95 720
      -0.3475 0.5811 -0.5980 -0.8871609 BTC Short-Inefficiency q95 720
      -0.3935 0.8208 -0.4794 -0.9223671 LTC Short-Inefficiency q95 720
      -0.4740 0.9257 -0.5120 -0.9625089 XRP Short-Inefficiency q95 720
      -0.4824 0.7876 -0.6125 -0.9654747 TRX Short-Inefficiency q95 720
      -0.5161 0.7688 -0.6713 -0.9755232 ETH Short-Inefficiency q95 720
      -0.6111 0.7581 -0.8061 -0.9919898 BNB Short-Inefficiency q95 720
      NaN 1.3007 NaN -1.0011284 DOGE Short-Inefficiency q95 720
      • q95 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.4211 0.8388 0.5020 5.0262580 BNB Short-Efficiency-Long-Inefficiency q95 720
        0.0640 0.5827 0.1098 0.3728679 BTC Short-Efficiency-Long-Inefficiency q95 720
        0.0240 0.7971 0.0301 0.1288583 TRX Short-Efficiency-Long-Inefficiency q95 720
        0.0197 0.7760 0.0254 0.1048156 ETH Short-Efficiency-Long-Inefficiency q95 720
        0.0169 1.3056 0.0130 0.0895883 DOGE Short-Efficiency-Long-Inefficiency q95 720
        -0.1978 0.9277 -0.2132 -0.6758466 XRP Short-Efficiency-Long-Inefficiency q95 720
        -0.1984 0.8342 -0.2378 -0.6770530 LTC Short-Efficiency-Long-Inefficiency q95 720
        -0.5257 0.8682 -0.6055 -0.9779114 ADA Short-Efficiency-Long-Inefficiency q95 720
        • q95 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0314 0.1147 0.2737 0.1711655 DOGE Short-Efficiency q95 720
          0.0264 0.0612 0.4309 0.1423876 XRP Short-Efficiency q95 720
          0.0140 0.3595 0.0391 0.0738526 BNB Short-Efficiency q95 720
          0.0046 0.1228 0.0371 0.0235308 TRX Short-Efficiency q95 720
          -0.0219 0.0434 -0.5043 -0.1070241 BTC Short-Efficiency q95 720
          -0.0330 0.1491 -0.2210 -0.1574215 LTC Short-Efficiency q95 720
          -0.0938 0.1043 -0.8991 -0.3954665 ETH Short-Efficiency q95 720
          -0.4680 0.6892 -0.6791 -0.9602654 ADA Short-Efficiency q95 720

          Significance q99

  • q99 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.6660 0.8667 0.7685 12.5827400 ADA Short-Inefficiency-Long-Efficiency q99 720
    -0.2735 0.5828 -0.4693 -0.8047210 BTC Short-Inefficiency-Long-Efficiency q99 720
    -0.4014 0.8342 -0.4812 -0.9273929 LTC Short-Inefficiency-Long-Efficiency q99 720
    -0.5105 0.9277 -0.5503 -0.9740489 XRP Short-Inefficiency-Long-Efficiency q99 720
    -0.5397 0.7969 -0.6772 -0.9810343 TRX Short-Inefficiency-Long-Efficiency q99 720
    -0.5978 0.7754 -0.7709 -0.9904846 ETH Short-Inefficiency-Long-Efficiency q99 720
    -0.6855 0.8386 -0.8174 -0.9972921 BNB Short-Inefficiency-Long-Efficiency q99 720
    NaN 1.3056 NaN -1.0009359 DOGE Short-Inefficiency-Long-Efficiency q99 720
    • q99 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.1852 0.3779 0.4902 1.3833653 ADA Short-Inefficiency q99 720
      -0.3156 0.5740 -0.5498 -0.8560466 BTC Short-Inefficiency q99 720
      -0.3796 0.7775 -0.4882 -0.9128483 LTC Short-Inefficiency q99 720
      -0.4819 0.7298 -0.6604 -0.9653109 TRX Short-Inefficiency q99 720
      -0.4831 0.9218 -0.5241 -0.9657163 XRP Short-Inefficiency q99 720
      -0.5552 0.7066 -0.7857 -0.9840875 ETH Short-Inefficiency q99 720
      -0.6002 0.6738 -0.8907 -0.9907698 BNB Short-Inefficiency q99 720
      NaN 1.2999 NaN -1.0011563 DOGE Short-Inefficiency q99 720
      • q99 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.5216 0.8386 0.6220 7.5461829 BNB Short-Efficiency-Long-Inefficiency q99 720
        0.3390 0.7754 0.4371 3.4455708 ETH Short-Efficiency-Long-Inefficiency q99 720
        0.1289 0.7969 0.1618 0.8583923 TRX Short-Efficiency-Long-Inefficiency q99 720
        0.0093 1.3056 0.0071 0.0485896 DOGE Short-Efficiency-Long-Inefficiency q99 720
        -0.0247 0.5828 -0.0424 -0.1201689 BTC Short-Efficiency-Long-Inefficiency q99 720
        -0.1633 0.9277 -0.1760 -0.5978600 XRP Short-Efficiency-Long-Inefficiency q99 720
        -0.1787 0.8342 -0.2142 -0.6342882 LTC Short-Efficiency-Long-Inefficiency q99 720
        -0.7218 0.8667 -0.8328 -0.9985533 ADA Short-Efficiency-Long-Inefficiency q99 720
        • q99 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0445 0.1045 0.4260 0.2492637 XRP Short-Efficiency q99 720
          0.0265 0.1233 0.2149 0.1429492 DOGE Short-Efficiency q99 720
          0.0036 0.3203 0.0113 0.0186992 TRX Short-Efficiency q99 720
          -0.0137 0.4998 -0.0274 -0.0680828 BNB Short-Efficiency q99 720
          -0.0141 0.3195 -0.0442 -0.0701014 ETH Short-Efficiency q99 720
          -0.0546 0.3022 -0.1807 -0.2494484 LTC Short-Efficiency q99 720
          -0.0674 0.1005 -0.6709 -0.3000329 BTC Short-Efficiency q99 720
          -0.6194 0.7808 -0.7933 -0.9928227 ADA Short-Efficiency q99 720
          [1] “”

1080 Window

Significance q70

  • q70 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    -0.2468 0.5722 -0.4313 -0.6478384 BTC Short-Inefficiency-Long-Efficiency q70 1080
    -0.3447 0.8345 -0.4131 -0.7891526 LTC Short-Inefficiency-Long-Efficiency q70 1080
    -0.3969 0.9747 -0.4073 -0.8447092 XRP Short-Inefficiency-Long-Efficiency q70 1080
    -0.4264 0.7656 -0.5569 -0.8708201 TRX Short-Inefficiency-Long-Efficiency q70 1080
    -0.4508 0.7473 -0.6033 -0.8899787 ETH Short-Inefficiency-Long-Efficiency q70 1080
    -0.4747 0.8538 -0.5560 -0.9065925 ADA Short-Inefficiency-Long-Efficiency q70 1080
    -0.5754 0.8496 -0.6772 -0.9573393 BNB Short-Inefficiency-Long-Efficiency q70 1080
    NaN 1.4565 NaN -1.0033089 DOGE Short-Inefficiency-Long-Efficiency q70 1080
    • q70 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.2486 0.5722 -0.4345 -0.6509488 BTC Short-Inefficiency q70 1080
      -0.3427 0.8344 -0.4107 -0.7867125 LTC Short-Inefficiency q70 1080
      -0.3869 0.9742 -0.3971 -0.8349503 XRP Short-Inefficiency q70 1080
      -0.4272 0.7656 -0.5579 -0.8714868 TRX Short-Inefficiency q70 1080
      -0.4412 0.8452 -0.5221 -0.8827421 ADA Short-Inefficiency q70 1080
      -0.4517 0.7473 -0.6045 -0.8906351 ETH Short-Inefficiency q70 1080
      -0.5807 0.8038 -0.7224 -0.9592509 BNB Short-Inefficiency q70 1080
      NaN 1.4565 NaN -1.0033182 DOGE Short-Inefficiency q70 1080
      • q70 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.1144 0.8496 0.1347 0.4903054 BNB Short-Efficiency-Long-Inefficiency q70 1080
        0.0372 0.7473 0.0497 0.1438180 ETH Short-Efficiency-Long-Inefficiency q70 1080
        -0.0385 0.7656 -0.0503 -0.1345703 TRX Short-Efficiency-Long-Inefficiency q70 1080
        -0.0440 0.5722 -0.0769 -0.1526807 BTC Short-Efficiency-Long-Inefficiency q70 1080
        -0.0714 1.4565 -0.0490 -0.2388023 DOGE Short-Efficiency-Long-Inefficiency q70 1080
        -0.0874 0.8538 -0.1024 -0.2860455 ADA Short-Efficiency-Long-Inefficiency q70 1080
        -0.2470 0.8345 -0.2960 -0.6481384 LTC Short-Efficiency-Long-Inefficiency q70 1080
        -0.3808 0.9747 -0.3907 -0.8288465 XRP Short-Efficiency-Long-Inefficiency q70 1080
        • q70 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0482 0.1210 0.3985 0.1893577 ADA Short-Efficiency q70 1080
          0.0157 0.0308 0.5103 0.0591270 XRP Short-Efficiency q70 1080
          0.0031 0.0060 0.5189 0.0114407 LTC Short-Efficiency q70 1080
          0.0008 0.0015 0.5206 0.0028034 DOGE Short-Efficiency q70 1080
          -0.0014 0.0027 -0.5221 -0.0051884 TRX Short-Efficiency q70 1080
          -0.0016 0.0031 -0.5222 -0.0060019 ETH Short-Efficiency q70 1080
          -0.0024 0.0046 -0.5228 -0.0089110 BTC Short-Efficiency q70 1080
          -0.0844 0.2749 -0.3070 -0.2772784 BNB Short-Efficiency q70 1080

          Significance q90

  • q90 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    -0.2468 0.5722 -0.4313 -0.6478384 BTC Short-Inefficiency-Long-Efficiency q90 1080
    -0.3447 0.8345 -0.4131 -0.7891526 LTC Short-Inefficiency-Long-Efficiency q90 1080
    -0.3969 0.9747 -0.4073 -0.8447092 XRP Short-Inefficiency-Long-Efficiency q90 1080
    -0.4264 0.7656 -0.5569 -0.8708201 TRX Short-Inefficiency-Long-Efficiency q90 1080
    -0.4508 0.7473 -0.6033 -0.8899787 ETH Short-Inefficiency-Long-Efficiency q90 1080
    -0.6159 0.8531 -0.7219 -0.9704966 ADA Short-Inefficiency-Long-Efficiency q90 1080
    -0.6336 0.8493 -0.7461 -0.9752183 BNB Short-Inefficiency-Long-Efficiency q90 1080
    NaN 1.4565 NaN -1.0033089 DOGE Short-Inefficiency-Long-Efficiency q90 1080
    • q90 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.2486 0.5722 -0.4345 -0.6509488 BTC Short-Inefficiency q90 1080
      -0.3427 0.8344 -0.4107 -0.7867125 LTC Short-Inefficiency q90 1080
      -0.3869 0.9742 -0.3971 -0.8349503 XRP Short-Inefficiency q90 1080
      -0.4272 0.7656 -0.5579 -0.8714868 TRX Short-Inefficiency q90 1080
      -0.4517 0.7473 -0.6045 -0.8906351 ETH Short-Inefficiency q90 1080
      -0.5036 0.7989 -0.6304 -0.9241638 ADA Short-Inefficiency q90 1080
      -0.5977 0.7625 -0.7839 -0.9650185 BNB Short-Inefficiency q90 1080
      NaN 1.4565 NaN -1.0033182 DOGE Short-Inefficiency q90 1080
      • q90 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.2916 0.8493 0.3433 1.5655017 BNB Short-Efficiency-Long-Inefficiency q90 1080
        0.2479 0.8531 0.2906 1.2603695 ADA Short-Efficiency-Long-Inefficiency q90 1080
        0.0372 0.7473 0.0497 0.1438180 ETH Short-Efficiency-Long-Inefficiency q90 1080
        -0.0385 0.7656 -0.0503 -0.1345703 TRX Short-Efficiency-Long-Inefficiency q90 1080
        -0.0440 0.5722 -0.0769 -0.1526807 BTC Short-Efficiency-Long-Inefficiency q90 1080
        -0.0714 1.4565 -0.0490 -0.2388023 DOGE Short-Efficiency-Long-Inefficiency q90 1080
        -0.2470 0.8345 -0.2960 -0.6481384 LTC Short-Efficiency-Long-Inefficiency q90 1080
        -0.3808 0.9747 -0.3907 -0.8288465 XRP Short-Efficiency-Long-Inefficiency q90 1080
        • q90 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.1799 0.3004 0.5989 0.8389835 ADA Short-Efficiency q90 1080
          0.0157 0.0308 0.5103 0.0591270 XRP Short-Efficiency q90 1080
          0.0031 0.0060 0.5189 0.0114407 LTC Short-Efficiency q90 1080
          0.0008 0.0015 0.5206 0.0028034 DOGE Short-Efficiency q90 1080
          -0.0014 0.0027 -0.5221 -0.0051884 TRX Short-Efficiency q90 1080
          -0.0016 0.0031 -0.5222 -0.0060019 ETH Short-Efficiency q90 1080
          -0.0024 0.0046 -0.5228 -0.0089110 BTC Short-Efficiency q90 1080
          -0.0457 0.3742 -0.1220 -0.1581203 BNB Short-Efficiency q90 1080

          Significance q95

  • q95 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    -0.1714 0.5722 -0.2996 -0.4997214 BTC Short-Inefficiency-Long-Efficiency q95 1080
    -0.3447 0.8345 -0.4131 -0.7891526 LTC Short-Inefficiency-Long-Efficiency q95 1080
    -0.3969 0.9747 -0.4073 -0.8447092 XRP Short-Inefficiency-Long-Efficiency q95 1080
    -0.4264 0.7656 -0.5569 -0.8708201 TRX Short-Inefficiency-Long-Efficiency q95 1080
    -0.4508 0.7473 -0.6033 -0.8899787 ETH Short-Inefficiency-Long-Efficiency q95 1080
    -0.6961 0.8524 -0.8166 -0.9875494 ADA Short-Inefficiency-Long-Efficiency q95 1080
    -0.7266 0.8482 -0.8566 -0.9915678 BNB Short-Inefficiency-Long-Efficiency q95 1080
    NaN 1.4565 NaN -1.0033089 DOGE Short-Inefficiency-Long-Efficiency q95 1080
    • q95 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.2104 0.5688 -0.3699 -0.5809795 BTC Short-Inefficiency q95 1080
      -0.3427 0.8344 -0.4107 -0.7867125 LTC Short-Inefficiency q95 1080
      -0.3869 0.9742 -0.3971 -0.8349503 XRP Short-Inefficiency q95 1080
      -0.4272 0.7656 -0.5579 -0.8714868 TRX Short-Inefficiency q95 1080
      -0.4517 0.7473 -0.6045 -0.8906351 ETH Short-Inefficiency q95 1080
      -0.5488 0.7711 -0.7117 -0.9466437 ADA Short-Inefficiency q95 1080
      -0.6467 0.7403 -0.8736 -0.9783231 BNB Short-Inefficiency q95 1080
      NaN 1.4565 NaN -1.0033182 DOGE Short-Inefficiency q95 1080
      • q95 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.7308 0.8482 0.8616 6.5398669 BNB Short-Efficiency-Long-Inefficiency q95 1080
        0.5773 0.8524 0.6773 4.3562813 ADA Short-Efficiency-Long-Inefficiency q95 1080
        0.0372 0.7473 0.0497 0.1438180 ETH Short-Efficiency-Long-Inefficiency q95 1080
        -0.0385 0.7656 -0.0503 -0.1345703 TRX Short-Efficiency-Long-Inefficiency q95 1080
        -0.0714 1.4565 -0.0490 -0.2388023 DOGE Short-Efficiency-Long-Inefficiency q95 1080
        -0.1309 0.5722 -0.2288 -0.4035458 BTC Short-Efficiency-Long-Inefficiency q95 1080
        -0.2470 0.8345 -0.2960 -0.6481384 LTC Short-Efficiency-Long-Inefficiency q95 1080
        -0.3808 0.9747 -0.3907 -0.8288465 XRP Short-Efficiency-Long-Inefficiency q95 1080
        • q95 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.2981 0.3649 0.8169 1.6137779 ADA Short-Efficiency q95 1080
          0.0868 0.4153 0.2089 0.3586014 BNB Short-Efficiency q95 1080
          0.0157 0.0308 0.5103 0.0591270 XRP Short-Efficiency q95 1080
          0.0031 0.0060 0.5189 0.0114407 LTC Short-Efficiency q95 1080
          0.0008 0.0015 0.5206 0.0028034 DOGE Short-Efficiency q95 1080
          -0.0014 0.0027 -0.5221 -0.0051884 TRX Short-Efficiency q95 1080
          -0.0016 0.0031 -0.5222 -0.0060019 ETH Short-Efficiency q95 1080
          -0.0507 0.0624 -0.8127 -0.1744061 BTC Short-Efficiency q95 1080

          Significance q99

  • q99 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    -0.1999 0.5722 -0.3493 -0.5601492 BTC Short-Inefficiency-Long-Efficiency q99 1080
    -0.2965 0.8345 -0.3553 -0.7261653 LTC Short-Inefficiency-Long-Efficiency q99 1080
    -0.2998 0.8539 -0.3511 -0.7308033 ADA Short-Inefficiency-Long-Efficiency q99 1080
    -0.3969 0.9747 -0.4073 -0.8447092 XRP Short-Inefficiency-Long-Efficiency q99 1080
    -0.4264 0.7656 -0.5569 -0.8708201 TRX Short-Inefficiency-Long-Efficiency q99 1080
    -0.4358 0.8501 -0.5126 -0.8784453 BNB Short-Inefficiency-Long-Efficiency q99 1080
    -0.4508 0.7473 -0.6033 -0.8899787 ETH Short-Inefficiency-Long-Efficiency q99 1080
    NaN 1.4565 NaN -1.0033089 DOGE Short-Inefficiency-Long-Efficiency q99 1080
    • q99 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.2228 0.5658 -0.3937 -0.6046653 BTC Short-Inefficiency q99 1080
      -0.2623 0.6690 -0.3920 -0.6737768 ADA Short-Inefficiency q99 1080
      -0.3180 0.8328 -0.3818 -0.7556973 LTC Short-Inefficiency q99 1080
      -0.3869 0.9742 -0.3971 -0.8349503 XRP Short-Inefficiency q99 1080
      -0.4272 0.7656 -0.5579 -0.8714868 TRX Short-Inefficiency q99 1080
      -0.4517 0.7473 -0.6045 -0.8906351 ETH Short-Inefficiency q99 1080
      -0.4669 0.6733 -0.6935 -0.9014082 BNB Short-Inefficiency q99 1080
      NaN 1.4565 NaN -1.0033182 DOGE Short-Inefficiency q99 1080
      • q99 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.0372 0.7473 0.0497 0.1438180 ETH Short-Efficiency-Long-Inefficiency q99 1080
        -0.0385 0.7656 -0.0503 -0.1345703 TRX Short-Efficiency-Long-Inefficiency q99 1080
        -0.0714 1.4565 -0.0490 -0.2388023 DOGE Short-Efficiency-Long-Inefficiency q99 1080
        -0.1000 0.5722 -0.1748 -0.3216035 BTC Short-Efficiency-Long-Inefficiency q99 1080
        -0.1614 0.8501 -0.1898 -0.4769642 BNB Short-Efficiency-Long-Inefficiency q99 1080
        -0.2986 0.8345 -0.3578 -0.7290734 LTC Short-Efficiency-Long-Inefficiency q99 1080
        -0.3154 0.8539 -0.3694 -0.7522678 ADA Short-Efficiency-Long-Inefficiency q99 1080
        -0.3808 0.9747 -0.3907 -0.8288465 XRP Short-Efficiency-Long-Inefficiency q99 1080
        • q99 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0157 0.0308 0.5103 0.0591270 XRP Short-Efficiency q99 1080
          0.0008 0.0015 0.5206 0.0028034 DOGE Short-Efficiency q99 1080
          -0.0014 0.0027 -0.5221 -0.0051884 TRX Short-Efficiency q99 1080
          -0.0016 0.0031 -0.5222 -0.0060019 ETH Short-Efficiency q99 1080
          -0.0332 0.0527 -0.6297 -0.1169657 LTC Short-Efficiency q99 1080
          -0.0356 0.0852 -0.4179 -0.1249420 BTC Short-Efficiency q99 1080
          -0.2061 0.5306 -0.3884 -0.5724964 ADA Short-Efficiency q99 1080
          -0.2797 0.5184 -0.5396 -0.7012910 BNB Short-Efficiency q99 1080
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